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Robust non-zero-sum stochastic differential reinsurance game
Pun, Chi Seng; Wong, Hoi Ying - In: Insurance / Mathematics & economics 68 (2016), pp. 169-177
Persistent link: https://www.econbiz.de/10011492656
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Robust non-zero-sum investment and reinsurance game with default risk
Wang, Ning; Zhang, Nan; Zhuo, Jin; Qian, Linyi - In: Insurance / Mathematics & economics 84 (2019), pp. 115-132
Persistent link: https://www.econbiz.de/10011990456
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Stochastic asset allocation and reinsurance game under contagious claims
Liu, Guo; Zhuo, Jin; Li, Shuanming; Zhang, Jiannan - In: Finance research letters 49 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013479221
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A class of nonzero-sum investment and reinsurance games subject to systematic risks
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707
Persistent link: https://www.econbiz.de/10011848596
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Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
Lu, ZhiYi; Meng, LiLi; Wang, Yujing; Shen, Qingjie - In: Insurance / Mathematics & economics 68 (2016), pp. 92-100
Persistent link: https://www.econbiz.de/10011492551
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Optimal stop-loss reinsurance under the VaR and CTE risk measures : variable transformation method
Du, Junhong; Li, Zhiming; Wu, Lijun - In: Computational economics 53 (2019) 3, pp. 1133-1151
Persistent link: https://www.econbiz.de/10012135119
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Non-zero-sum reinsurance games subject to ambiguous correlations
Pun, Chi Seng; Siu, Chi Chung; Wong, Hoi Ying - In: Operations research letters 44 (2016) 5, pp. 578-586
Persistent link: https://www.econbiz.de/10011596475
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Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
Zhang, Caibin; Liang, Zhibin; Yuan, Yu - In: European journal of operational research : EJOR 315 (2024) 1, pp. 213-227
Persistent link: https://www.econbiz.de/10014562822
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Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
Li, Man; Huang, Ying; Huang, Ya; Zhou, Jieming - In: Mathematics and financial economics 18 (2024) 1, pp. 49-94
Persistent link: https://www.econbiz.de/10015045572
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Probability equivalent level for CoVaR and VaR
Ortega-Jiménez, Patricia; Pellerey, Franco; Sordo, … - In: Insurance : mathematics and economics 115 (2024), pp. 22-35
Persistent link: https://www.econbiz.de/10015066724